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Directed Graph and Variable Selection in Large Vector Autoregressive Models
Bertsche, Dominik; Brüggemann, Ralf; Kascha, Christian - 2019
We represent the dynamic relation among variables in vector autoregressive (VAR) models as directed graphs. Based on these graphs, we identify so-called strongly connected components (SCCs). Using this graphical representation, we consider the problem of variable selection. We use the relations...
Persistent link: https://www.econbiz.de/10012099218
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On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments
Windmeijer, Frank; Farbmacher, Helmut; Davies, Neil; … - 2017
We investigate the behaviour of the Lasso for selecting invalid instruments in linear instrumental variables models for … explanatory variables. We show that for this setup, the Lasso may not select all invalid instruments in large samples if they are … relative strength of the instruments or their correlation structure. This estimator can therefore be used for adaptive Lasso …
Persistent link: https://www.econbiz.de/10011712709